Beat the butter and sugar and add the eggs, while constantly whipping. Dissolve the baking soda in yoghurt and add it. Pour the vanilla and lemon zest in. Sift the flour and begin to add it, whisking constantly. Knead it into a soft dough. Roll it gently, cut small rectangles and in the middle of each place some Turkish delight.
Wrap them so the Turkish delight doesn't spill out and arrange them in a greased baking tray. Bake the cookies in a moderately preheated oven until golden. Allow to cool slightly and sprinkle with powdered sugar.
Another option for shaping the cookies without rolling out the dough, is to make small balls in the middle of which you insert Turkish delight and then gently smooth out the top with your fingers.